topic Re: Value at risk formula in QlikView https://community.qlik.com/t5/QlikView/Value-at-risk-formula/m-p/767054#M663597 <HTML><HEAD></HEAD><BODY><P><A href="https://en.wikipedia.org/wiki/Value_at_risk">Wikipedia</A> says the formula is</P><P><IMG alt="\operatorname{VaR}_\alpha(L)=\inf\{l \in \mathbb{R}:P(L&gt;l)\le 1-\alpha\}=\inf\{l\in \mathbb{R}:F_L(l) \ge \alpha\}." class="jive-image mwe-math-fallback-image-inline tex" src="https://upload.wikimedia.org/math/d/8/9/d89b9563aeb66307e19f015d63c6de64.png" style="border-style: none; vertical-align: middle; display: inline-block; color: #252525; font-family: sans-serif; font-size: 14px; line-height: 22.399999618530273px; background-color: #ffffff;" /></P><P></P><P>But perhaps this discussion is more helpful: <A _jive_internal="true" href="https://community.qlik.com/message/534725#534725" title="http://community.qlik.com/message/534725#534725">http://community.qlik.com/message/534725#534725</A></P></BODY></HTML> Sat, 10 Jan 2015 16:48:12 GMT Gysbert_Wassenaar 2015-01-10T16:48:12Z Value at risk formula https://community.qlik.com/t5/QlikView/Value-at-risk-formula/m-p/767053#M663596 <HTML><HEAD></HEAD><BODY><P>Good Morning I need to calculate the Value At Risk on a period of 2 years. These are the fields of my equities:</P><P>Audi:</P><P>LOAD year(Date) as Year,</P><P>&nbsp; month(Date) as Month, </P><P>&nbsp; Date, </P><P>&nbsp;&nbsp;&nbsp;&nbsp; Open, </P><P>&nbsp;&nbsp;&nbsp;&nbsp; High, </P><P>&nbsp;&nbsp;&nbsp;&nbsp; Low, </P><P>&nbsp;&nbsp;&nbsp;&nbsp; Close, </P><P>&nbsp;&nbsp;&nbsp;&nbsp; Volume, </P><P>&nbsp;&nbsp;&nbsp;&nbsp; [Adj Close],</P><P>&nbsp;&nbsp;&nbsp;&nbsp; 'AUDI' as Azione</P><P></P><P>and i already calculated the CC returns. </P><P>What is the formula to calculate the Value at risk?</P><P>Thanks</P></BODY></HTML> Sat, 10 Jan 2015 11:30:04 GMT https://community.qlik.com/t5/QlikView/Value-at-risk-formula/m-p/767053#M663596 2015-01-10T11:30:04Z Re: Value at risk formula https://community.qlik.com/t5/QlikView/Value-at-risk-formula/m-p/767054#M663597 <HTML><HEAD></HEAD><BODY><P><A href="https://en.wikipedia.org/wiki/Value_at_risk">Wikipedia</A> says the formula is</P><P><IMG alt="\operatorname{VaR}_\alpha(L)=\inf\{l \in \mathbb{R}:P(L&gt;l)\le 1-\alpha\}=\inf\{l\in \mathbb{R}:F_L(l) \ge \alpha\}." class="jive-image mwe-math-fallback-image-inline tex" src="https://upload.wikimedia.org/math/d/8/9/d89b9563aeb66307e19f015d63c6de64.png" style="border-style: none; vertical-align: middle; display: inline-block; color: #252525; font-family: sans-serif; font-size: 14px; line-height: 22.399999618530273px; background-color: #ffffff;" /></P><P></P><P>But perhaps this discussion is more helpful: <A _jive_internal="true" href="https://community.qlik.com/message/534725#534725" title="http://community.qlik.com/message/534725#534725">http://community.qlik.com/message/534725#534725</A></P></BODY></HTML> Sat, 10 Jan 2015 16:48:12 GMT https://community.qlik.com/t5/QlikView/Value-at-risk-formula/m-p/767054#M663597 Gysbert_Wassenaar 2015-01-10T16:48:12Z